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Search: subject:"perturbation method"
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Volatility
Perturbation method
13
perturbation method
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Perturbation Method
8
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7
Stochastischer Prozess
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Second Order Approximation
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Solving Dynamic General Equilibrium Models
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Stochastic volatility
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commodities
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futures price
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habit model
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options on futures
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perpetual American put options
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second order approximation
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term structure of interest rates
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Andreasen, Martin Møller
1
Castillo B., Paul
1
Chen, Congcong
1
Chen, Haitong
1
Chen, Nan
1
Chen, Wen-ting
1
Fouque, Jean-Pierre
1
He, Xin-Jiang
1
Hu, Chenpei
1
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1
Liu, Yaoxin
1
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Saporito, Yuri F.
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Tuesta R., Vicente
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Wan, Xiangwei
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Xu, Longbin
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Zabczyk, Pawel
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Zhang, Shangfeng
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Zhu, Chun
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International journal of theoretical and applied finance
2
Journal of economic dynamics & control
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The level effect and volatility effect of uncertainty shocks in China
Zhang, Shangfeng
;
Liu, Yaoxin
;
Chen, Haitong
;
Zhu, Chun
; …
- In:
Economic research
34
(
2021
)
1,1
,
pp. 172-193
Persistent link: https://www.econbiz.de/10013341482
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2
Inflation, oil price volatility and monetary policy
Castillo B., Paul
;
Montoro, Carlos
;
Tuesta R., Vicente
- In:
Journal of macroeconomics
66
(
2020
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012433837
Saved in:
3
Approximate arbitrage-free option pricing under the SABR model
Yang, Nian
;
Chen, Nan
;
Liu, Yanchu
;
Wan, Xiangwei
- In:
Journal of economic dynamics & control
83
(
2017
),
pp. 198-214
Persistent link: https://www.econbiz.de/10011915586
Saved in:
4
An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
He, Xin-Jiang
;
Zhu, Song-Ping
- In:
Journal of economic dynamics & control
71
(
2016
),
pp. 77-85
Persistent link: https://www.econbiz.de/10011708772
Saved in:
5
Efficient bond price approximations in nonlinear equilibrium-based term structure models
Andreasen, Martin Møller
;
Zabczyk, Pawel
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
1
,
pp. 1-33
Persistent link: https://www.econbiz.de/10011311205
Saved in:
6
Multiscale stochastic volatility model for derivatives on futures
Fouque, Jean-Pierre
;
Saporito, Yuri F.
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-31
Persistent link: https://www.econbiz.de/10010498865
Saved in:
7
Should an American option be exercised earlier or later if volatility is not assumed to be a constant?
Zhu, Song-ping
;
Chen, Wen-ting
- In:
International journal of theoretical and applied finance
14
(
2011
)
8
,
pp. 1279-1297
Persistent link: https://www.econbiz.de/10009541996
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